Trajectory Cross lets orders cross at the volume weighted average price (VWAP) over optimally selected time intervals based on the volatility of the underlying security. The liquidity pool uses interval matching, which preferences longer duration trades to help reduce adverse selection and deter gaming.

NightOwl, use of which was extended to the Canadian market in January and Brazil in March, analyses dark pools to help clients avoid interacting with venues that might disclose client order information through indications of interest.

Morgan Stanley has enhanced its venue analytics platform to provide more transparency over where orders are routed and executed. The multi-factor model looks at both pre- and post-trade data to analyse and weigh different venue attributes, including probability of fills, price improvement, and price returns pre and post fill.

“When clients trade with NightOwl they can access the liquidity in Trajectory Cross that they couldn't before. We can now give firms a very safe place to passively execute against other natural algo flow,” said William Neuberger, managing director, global co-head of Morgan Stanley Electronic Trading.

Rather than crossing at the mid-point or – as Morgan Stanley's own MS Pool does – matching orders on a discretionary basis withinin the spread, Trajectory Cross uses schedule-based liquidity.

“Orders are crossed at the VWAP for the time period that they overlap, according to their trade instructions, over a time period specific to each stock, determined by the price volatility. We have recently made those intervals more dynamic and granular,” said Neuberger.

“Rather than crossing at set ten minute intervals, we dynamically optimize crossing periods on a per order basis.”

He added that Trajectory Cross's lack of appeal to high frequency traders (HFT) is a key differentiator for long-only investors. “Even if a trade is executed over a short period of time at a VWAP price, the venue is not conducive to high frequency strategies.”

Trajectory Cross can be accessed by using Morgan Stanley's algorithms or directly.